It's downloading and synchronizing the Blockchain in the background. That could take a half day or so, then it won't need more calculations.

You can speed up the process by downloading the latest package of the blockchain here: http://db.burst-team.us. You have to extract it to your C:\Users\Username\AppData\Roaming\BurstWallet\burst_db\ folder. (this folder is hidden!)

Then it will synchronize in some minutes and you have no load on your cpu anymore.